Thread: Fama MacBeth regression

dear all,
t's z 1st time that i make research and i'm new to state so i had several questions, can i apply fama macbeth regression for a short time period 3-4 years? plus if the sample firms consist of firms with fiscal year end at december and firms with fiscal year end at june, can i simply take both at my anaysis or there is a special treatment in this case and what about the firms that changed its fiscal year end during the study period? finally which program would you recommend me to use for running Fama MacBeth regression; SAS or Stata or R cran or else? and if there is turtorial you recommend me to use? thanx

Hey sweta.

Did you read the Wiki Page? The references linked to this site which seems up your alley:

Programming Advice - Finance Panel Data Sets -- Kellogg School of Management

thnx much for yr reply, i installed xtmfb.ado from within stata but i don't know how to install other .ado tht doesn't appear when i make search from within stata plus i urgently need to know abt the different year end of firms of sample and whether it affect analysis? thanx again for yr attention.

I don't know anything about stata (I only am familiar with SAS, SPSS, and R) so I can't help you in that regard.